Clark-Ocone type formula for non-semimartingales with finite quadratic variation

DOI10.1016/J.CRMA.2010.11.032MaRDI QIDQ627755zbMATH OpenOpenAlexFDO

Authors Cristina Di Girolami, Francesco Russo

Publication date 3 March 2011

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1005.3608

zbMATH Keywords

Banach-valued stochastic processClark-Ocone formulaquadratic variationstochastic integration via regularization

Mathematics Subject Classification ID

Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Abstract: We provide a suitable framework for the concept of finite quadratic variation for processes with values in a separable Banach space $B$ using the language of stochastic calculus via regularizations, introduced in the case $B=R$ by the second author and P. Vallois. To a real continuous process $X$ we associate the Banach valued process $X(cdot)$, called {it window} process, which describes the evolution of $X$ taking into account a memory $au>0$. The natural state space for $X(cdot)$ is the Banach space of continuous functions on $[-au,0]$. If $X$ is a real finite quadratic variation process, an appropriated It^o formula is presented, from which we derive a generalized Clark-Ocone formula for non-semimartingales having the same quadratic variation as Brownian motion. The representation is based on solutions of an infinite dimensional PDE.

Review text

The notions of stochastic integral and quadratic variation were studied for finite-dimensional processes by Russo-Vallois by means of a regularization technique. Here, the concept of finite quadratic variation is extended to Banach-valued processes, and an Itô formula is given. The particular case of window processes is considered; in this case, the process under study is \(X_t(.)\) where \(X_t(u)=X_{t+u}\), \(-\tau\leq u\leq0\), for some real process \(X\) and some \(\tau>0\); a Clark-Ocone formula is given in this framework.

Recommendations

• Generalized covariation for Banach space valued processes, Itō formula and applications
• The covariation for Banach space valued processes and applications
• scientific article; zbMATH DE number 16086
• Applications of the Quadratic Covariation Differentiation Theory: Variants of the Clark-Ocone and Stroock's Formulas
• Stochastic calculus with respect to continuous finite quadratic variation processes

Cites work

• \(n\)-covariation, generalized Dirichlet processes and calculus with respect to finite cubic variation processes.
• Elements of Stochastic Calculus via Regularization
• scientific article; zbMATH DE number 3725363 (Why is no real title available?)
• scientific article; zbMATH DE number 1540658 (Why is no real title available?)
• Nonsemimartingales: stochastic differential equations and weak Dirichlet processes
• Robust option replication for a Black-Scholes model extended with nondeterministic trends
• Stochastic Equations in Infinite Dimensions

Cited in

(15)

• About classical solutions of the path-dependent heat equation
• Crandall-Lions viscosity solutions for path-dependent PDEs: the case of heat equation
• The covariation for Banach space valued processes and applications
• Functional and Banach space stochastic calculi: path-dependent Kolmogorov equations associated with the frame of a Brownian motion
• Generalized covariation and extended Fukushima decomposition for Banach space-valued processes: applications to windows of Dirichlet processes
• Functional Itô versus Banach space stochastic calculus and strict solutions of semilinear path-dependent equations
• Infinite dimensional weak Dirichlet processes and convolution type processes
• scientific article; zbMATH DE number 2062138 (Why is no real title available?)
• Stochastic calculus with respect to continuous finite quadratic variation processes
• Generalized covariation for Banach space valued processes, Itō formula and applications
• Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equations
• Path dependent equations driven by Hölder processes
• On stochastic calculus related to financial assets without semimartingales
• Notion of quadratic variation in Banach spaces
• Rough paths and regularization

This page was built for publication: Clark-Ocone type formula for non-semimartingales with finite quadratic variation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q627755)